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University of St.Gallenennew publications - Adamo UboldiAlexandria::new publicationsOptimal Strategies for the Issuances of Public Debt SecuritiesAdamo, M., Amadori, A. L., Bernaschi, M., Chioma, C., Marigo, A., Piccoli, B., Sbaraglia, S., Uboldi, A., Vergni, D., Fabbri, P., Iacovoni, D., Natale, F., Scalera, S., Spilotro, L., & Valletta, A. (2004). Optimal Strategies for the Issuances of Public Debt Securities. International Journal of Theoretical and Applied Finance, 7(7), 805-822. --- We describe a model for the optimization of the issuances of Public Debt securities developed together with the Italian Ministry of Economy and Finance. The goal is to determine the composition of the portfolio issued every month which minimizes a specific "cost function". Mathematically speaking, this is a stochastic optimal control problem with strong constraints imposed by national ...
https://www.alexandria.unisg.ch/publications/12643
2005-04-15On the Presence of Unspanned Volatility in European Interest Rate OptionsRenĂ², R., & Uboldi, A. (2005). On the Presence of Unspanned Volatility in European Interest Rate Options. Applied Economic Letters, 1(1), 15-18, DOI:10.1080/1744654042000296880. --- In a recent paper, Collin-Dufresne and Goldstein (2002) show that the movements of the yield curve and of interest rate derivatives are mostly uncorrelated, advocating the presence of unspanned volatility. This letter shows that their results can be explained in the framework of a Gaussian HJM model with humped term-structure volatility. This implies that hedging interest rate derivatives with ...
https://www.alexandria.unisg.ch/publications/12642
2005-04-15Pricing Caps&Floors with a consistent HJM model,Trojani, F., Uboldi, A., & RenĂ², R. (2004). Pricing Caps&Floors with a consistent HJM model,. ---
https://www.alexandria.unisg.ch/publications/12615
2005-04-15Empirical Evaluation of the Market Price of Risk using the CIR Model,Trojani, F., Bernaschi, M., Uboldi, A., & Torosantucci, L. (2004). Empirical Evaluation of the Market Price of Risk using the CIR Model,. ---
https://www.alexandria.unisg.ch/publications/12616
2005-04-15